GBp 15,928368.002.37%

Macroaxis considers Mercer Passive unknown risk given 1 month investment horizon. Mercer Passive Global has Sharpe Ratio of 0.4818 which conveys that Mercer Passive Global had 0.4818% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing Mercer Passive Globaltechnical indicators you can presently evaluate if the expected return of 0.5026% is justified by implied risk. Please exercise Mercer Passive Global Equity Z 1 Mean Deviation of 1.2 and Risk Adjusted Performance of 0.01 to check out if our risk estimates are consistent with your expectations.

Mercer Passive Global Technical Analysis

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Projected Return Density Against Market

Assuming 30 trading days horizon, Mercer Passive has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and Mercer Passive are completely uncorrelated. Furthermore, Mercer Passive Global Equity Z 1It does not look like Mercer Passive alpha can have any bearing on the equity current valuation.

Assuming 30 trading days horizon, the coefficient of variation of Mercer Passive is 207.54. The daily returns are destributed with a variance of 1.09 and standard deviation of 1.04. The mean deviation of Mercer Passive Global Equity Z 1 is currently at 0.74. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0

Market Risk Breakdown

30 Days Market Risk

Chance of Distress in 24 months

30 Days Economic Sensitivity

Investment Outlook

Mercer Passive Investment Opportunity

Mercer Passive Global Equity Z 1 has a volatility of 1.04 and is 9.223372036854776E16 times more volatile than DOW. 9% of all equities and portfolios are less risky than Mercer Passive. Compared to the overall equity markets, volatility of historical daily returns of Mercer Passive Global Equity Z 1 is lower than 9 (%) of all global equities and portfolios over the last 30 days.